JaggedCube stores the cube in memory using a vector of trade specific blocks. More...

#include <orea/cube/jaggedcube.hpp>

Inheritance diagram for JaggedCube< T >:

Collaboration diagram for JaggedCube< T >:

Public Member Functions
	JaggedCube (Date asof, QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const vector< Date > &dates, Size samples, Size depth)

	JaggedCube (Date asof, QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const vector< Date > &dates, Size samples, const DepthCalculator &dc)

void	init (Date asof, QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const vector< Date > &dates, Size samples, const DepthCalculator &dc)

Size	numIds () const override
	Return the length of each dimension. More...

Size	numDates () const override

Size	samples () const override

Size	depth () const override

Real	avgDateLen () const

Real	avgDepth () const

const std::map< std::string, Size > &	idsAndIndexes () const override
	Get the vector of ids for this cube. More...

const std::vector< QuantLib::Date > &	dates () const override
	Get the vector of dates for this cube. More...

QuantLib::Date	asof () const override
	Return the asof date (T0 date) More...

Real	getT0 (Size i, Size d) const override
	Get a T0 value from the cube. More...

void	setT0 (Real value, Size i, Size d) override
	Set a value in the cube. More...

Real	get (Size i, Size j, Size k, Size d) const override
	Get a value from the cube. More...

void	set (Real value, Size i, Size j, Size k, Size d) override
	Set a value in the cube. More...

Public Member Functions inherited from NPVCube
	NPVCube ()
	default ctor More...

	NPVCube (NPVCube &)=delete
	Do not allow cube copying. More...

NPVCube &	operator= (NPVCube const &)=delete

virtual	~NPVCube ()
	dtor More...

virtual Size	numIds () const =0
	Return the length of each dimension. More...

virtual Size	numDates () const =0

virtual Size	samples () const =0

virtual Size	depth () const =0

virtual const std::map< std::string, Size > &	idsAndIndexes () const =0
	Get a map of id and their index position in this cube. More...

const std::set< std::string >	ids () const
	Get a set of all ids in the cube. More...

virtual const std::vector< QuantLib::Date > &	dates () const =0
	Get the vector of dates for this cube. More...

virtual QuantLib::Date	asof () const =0
	Return the asof date (T0 date) More...

virtual Real	getT0 (Size id, Size depth=0) const =0
	Get a T0 value from the cube using index. More...

virtual Real	getT0 (const std::string &id, Size depth=0) const
	Get a T0 value from the cube using trade id. More...

virtual void	setT0 (Real value, Size id, Size depth=0)=0
	Set a value in the cube using index. More...

virtual void	setT0 (Real value, const std::string &id, Size depth=0)
	Set a value in the cube using trade id. More...

virtual Real	get (Size id, Size date, Size sample, Size depth=0) const =0
	Get a value from the cube using index. More...

virtual void	set (Real value, Size id, Size date, Size sample, Size depth=0)=0
	Set a value in the cube using index. More...

virtual Real	get (const std::string &id, const QuantLib::Date &date, Size sample, Size depth=0) const
	Get a value from the cube using trade id and date. More...

virtual void	set (Real value, const std::string &id, const QuantLib::Date &date, Size sample, Size depth=0)
	Set a value in the cube using trade id and date. More...

virtual void	remove (Size id)

virtual void	remove (Size id, Size sample)

Size	getTradeIndex (const std::string &id) const

Protected Member Functions
void	check (Size i, Size j, Size k, Size d) const

Protected Member Functions inherited from NPVCube
virtual Size	index (const std::string &id) const

virtual Size	index (const QuantLib::Date &date) const

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int)

Private Attributes
QuantLib::Date	asof_

std::map< std::string, Size >	ids_

vector< QuantLib::Date >	dates_

Size	samples_

Size	maxDepth_

vector< TradeBlock< T > >	blocks_

Friends
class	boost::serialization::access

Detailed Description

template<typename T>
class ore::analytics::JaggedCube< T >

JaggedCube stores the cube in memory using a vector of trade specific blocks.

JaggedCube stores the cube in memory using a vector of trade specific blocks to allow both single and double precision implementations.

Definition at line 140 of file jaggedcube.hpp.

Constructor & Destructor Documentation

◆ JaggedCube() [1/2]

JaggedCube	(	Date	asof,
		QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio,
		const vector< Date > &	dates,
		Size	samples,
		Size	depth
	)

Definition at line 142 of file jaggedcube.hpp.

                           {
        init(asof, portfolio, dates, samples, ConstantDepthCalculator(depth));
    }

Here is the call graph for this function:

◆ JaggedCube() [2/2]

JaggedCube	(	Date	asof,
		QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio,
		const vector< Date > &	dates,
		Size	samples,
		const DepthCalculator &	dc
	)

Definition at line 147 of file jaggedcube.hpp.

                                          {
        init(asof, portfolio, dates, samples, dc);
    }

Here is the call graph for this function:

Member Function Documentation

◆ init()

void init	(	Date	asof,
		QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio,
		const vector< Date > &	dates,
		Size	samples,
		const DepthCalculator &	dc
	)

Definition at line 153 of file jaggedcube.hpp.

                                         {
        asof_ = asof;
        dates_ = dates;
        samples_ = samples;
        maxDepth_ = 0;
        // Loop over each trade, calculate it's dateLength by checking the trade maturity
        // get depth with the depth calculator
        // create a TradeBlock with these parameters and store it.
        //
        // setup asof, .....
        Size pos = 0;
        for (const auto& [tid, t] : portfolio->trades()) {
            // for each trade: set id and set a tradeblock
            ids_[tid] = pos++;
            // TradeBlock
            Size depth = dc.depth(t);
            maxDepth_ = std::max(maxDepth_, depth);
 
            Size dateLen = 0;
            while (dateLen < dates_.size() && dates_[dateLen] < t->maturity())
                dateLen++;
            blocks_.push_back(TradeBlock<T>(dateLen, depth, samples));
        }
    }

Here is the call graph for this function:

Here is the caller graph for this function:

◆ numIds()

Size numIds ( ) const

overridevirtual

Return the length of each dimension.

Implements NPVCube.

Definition at line 180 of file jaggedcube.hpp.

180{ return ids_.size(); }

Here is the caller graph for this function:

◆ numDates()

Size numDates ( ) const

overridevirtual

Implements NPVCube.

Definition at line 181 of file jaggedcube.hpp.

181{ return dates_.size(); }

Here is the caller graph for this function:

◆ samples()

Size samples ( ) const

overridevirtual

Implements NPVCube.

Definition at line 182 of file jaggedcube.hpp.

182{ return samples_; }

Here is the caller graph for this function:

◆ depth()

Size depth ( ) const

overridevirtual

Implements NPVCube.

Definition at line 183 of file jaggedcube.hpp.

183{ return maxDepth_; }

Here is the caller graph for this function:

◆ avgDateLen()

Real avgDateLen ( ) const

Definition at line 185 of file jaggedcube.hpp.

                            {
        // loop  over tradeblocks
        Size dateTotal = 0;
        Real dateLenAvg = 0.0;
        for (auto b : blocks_)
            dateTotal += b.dateLen;
        // get date length of each
        // return avg date (float)
        dateLenAvg = dateTotal / blocks_.size();
        return dateLenAvg;
    }

◆ avgDepth()

Real avgDepth ( ) const

Definition at line 197 of file jaggedcube.hpp.

                          {
        // same as above
        Size depthTotal = 0;
        Real depthAvg = 0.0;
        for (auto b : blocks_)
            depthTotal += b.depth;
        depthAvg = depthTotal / blocks_.size();
        return depthAvg;
    }

◆ idsAndIndexes()

const std::map< std::string, Size > & idsAndIndexes ( ) const

overridevirtual

Get the vector of ids for this cube.

Implements NPVCube.

Definition at line 208 of file jaggedcube.hpp.

208{ return ids_; }

◆ dates()

const std::vector< QuantLib::Date > & dates ( ) const

overridevirtual

Get the vector of dates for this cube.

Implements NPVCube.

Definition at line 210 of file jaggedcube.hpp.

210{ return dates_; }

Here is the caller graph for this function:

◆ asof()

QuantLib::Date asof ( ) const

overridevirtual

Return the asof date (T0 date)

Implements NPVCube.

Definition at line 213 of file jaggedcube.hpp.

213{ return asof_; }

Here is the caller graph for this function:

◆ getT0()

Real getT0	(	Size	i,
		Size	d
	)		const

overridevirtual

Get a T0 value from the cube.

Implements NPVCube.

Definition at line 216 of file jaggedcube.hpp.

                                              {
        QL_REQUIRE(i < blocks_.size(), "Invalid trade index i " << i);
        return blocks_[i].getT0(d);
    }

◆ setT0()

void setT0	(	Real	value,
		Size	i,
		Size	d
	)

overridevirtual

Set a value in the cube.

Implements NPVCube.

Definition at line 222 of file jaggedcube.hpp.

                                                    {
        QL_REQUIRE(i < blocks_.size(), "Invalid trade index i " << i);
        TradeBlock<T>& tb = blocks_[i];
        return tb.setT0(value, d);
    }

Here is the call graph for this function:

◆ get()

Real get	(	Size	i,
		Size	j,
		Size	k,
		Size	d
	)		const

overridevirtual

Get a value from the cube.

Implements NPVCube.

Definition at line 229 of file jaggedcube.hpp.

                                                            {
        check(i, j, k, d);
        return blocks_[i].get(j, k, d);
    }

◆ set()

void set	(	Real	value,
		Size	i,
		Size	j,
		Size	k,
		Size	d
	)

overridevirtual

Set a value in the cube.

Implements NPVCube.

Definition at line 235 of file jaggedcube.hpp.

                                                                  {
        check(i, j, k, d);
        TradeBlock<T>& tb = blocks_[i];
        return tb.set(value, j, k, d);
    }

Here is the call graph for this function:

◆ check()

void check	(	Size	i,
		Size	j,
		Size	k,
		Size	d
	)		const

protected

Definition at line 242 of file jaggedcube.hpp.

                                                     {
        QL_REQUIRE(i < numIds(), "Out of bounds on ids (i=" << i << ")");
        QL_REQUIRE(j < numDates(), "Out of bounds on dates (j=" << j << ")");
        QL_REQUIRE(k < samples(), "Out of bounds on samples (k=" << k << ")");
        QL_REQUIRE(d < depth(), "Out of bounds on depth (d=" << d << ")");
    }

Here is the call graph for this function:

◆ serialize()

void serialize	(	Archive &	ar,
		const unsigned int
	)

private

Definition at line 251 of file jaggedcube.hpp.

                                                                             {
        ar& asof_;
        ar& ids_;
        ar& dates_;
        ar& samples_;
        ar& maxDepth_;
        ar& blocks_;
    }

Friends And Related Function Documentation

◆ boost::serialization::access

friend class boost::serialization::access

friend

Definition at line 250 of file jaggedcube.hpp.

Member Data Documentation

◆ asof_

QuantLib::Date asof_

private

Definition at line 260 of file jaggedcube.hpp.

◆ ids_

std::map<std::string, Size> ids_

private

Definition at line 261 of file jaggedcube.hpp.

◆ dates_

vector<QuantLib::Date> dates_

private

Definition at line 262 of file jaggedcube.hpp.

◆ samples_

Size samples_

private

Definition at line 263 of file jaggedcube.hpp.

◆ maxDepth_

Size maxDepth_

private

Definition at line 264 of file jaggedcube.hpp.

◆ blocks_

vector<TradeBlock<T> > blocks_

private

Definition at line 265 of file jaggedcube.hpp.

Public Member Functions

Protected Member Functions

Private Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

◆ JaggedCube() [1/2]

◆ JaggedCube() [2/2]

Member Function Documentation

◆ init()

◆ numIds()

◆ numDates()

◆ samples()

◆ depth()

◆ avgDateLen()

◆ avgDepth()

◆ idsAndIndexes()

◆ dates()

◆ asof()

◆ getT0()

◆ setT0()

◆ get()

◆ set()

◆ check()

◆ serialize()

Friends And Related Function Documentation

◆ boost::serialization::access

Member Data Documentation

◆ asof_

◆ ids_

◆ dates_

◆ samples_

◆ maxDepth_

◆ blocks_